NYSE Euronext Swapnote

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Liffe’s Euro Swapnote® futures contract are a notional bond contract referenced to the swap market. Only available on Liffe, the contracts are priced like a bond (with a fixed maturity and a 6% coupon), but with the same yield structure as the Euro swap yield curve. This unique contract design offers greater efficiency when hedging swap risk than offered with traditional government bond contracts, which are referenced to individual government interest rate yields.


Main contracts by volume02/02/09 Name Market Code Vol. O.I. Five-Year € Swapnote® Fut. LON O 710 9,194 Ten-Year € Swapnote® Fut. LON P 903 2,515 Two-Year € Swapnote® Fut. LON TWS 2,311 30,615


Note Date for volume is current trading day. Date for open interest is current trading day -1

The contract is referenced to the ISDA (International Swaps and Derivatives Association) benchmark Euribor swap rate fixings, providing exposure to the Euro denominate swap rates, and is designed to accurately track the Euro swap yield curve. Whereas the spread between the Euro swap rates and some traditional bond futures can widen considerably, thereby presenting a greater risk.

Our € Swapnote® contract suite comprises of the two, five and ten year contracts, as well as option on each of these to allow for extensive coverage of the euro swap yield curve. All contracts are cash settled eliminating the need to take delivery of the underlying bond.

Our Swapnote® contracts are complemented by our Short Term Interest Rate (STIR) portfolio of futures and options contracts, which, for example, provide liquidity at the shorter end of the Euro yield curve with out Euribor and Eonia contracts.



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